Bilateral Estimation of the Bellman Function in the Problems of Optimal Stochastic Control of Discrete Systems by the Probabilistic Performance Criterion
- 作者: Azanov V.M.1, Kan Y.S.1
- 
							隶属关系: 
							- Moscow Aviation Institute (National State University)
 
- 期: 卷 79, 编号 2 (2018)
- 页面: 203-215
- 栏目: Topical Issue
- URL: https://journals.rcsi.science/0005-1179/article/view/150814
- DOI: https://doi.org/10.1134/S0005117918020017
- ID: 150814
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Consideration was given to the optimal control of discrete stochastic systems by the probabilistic quality criterion. The new characteristics of the Bellman equation for this class of problems were examined, and the two-sided estimate of the Bellman function was determined. The problem of optimal control of the security portfolio with one riskless and a given number of risk assets was considered by way of example. The class of strategies featuring asymptotic optimality was established using the two-sided estimate of the Bellman function.
作者简介
V. Azanov
Moscow Aviation Institute (National State University)
							编辑信件的主要联系方式.
							Email: azanov59@gmail.com
				                					                																			                												                	俄罗斯联邦, 							Moscow						
Yu. Kan
Moscow Aviation Institute (National State University)
														Email: azanov59@gmail.com
				                					                																			                												                	俄罗斯联邦, 							Moscow						
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